论文标题
与烈语香草的对冲外来的食谱
Recipes for hedging exotics with illiquid vanillas
论文作者
论文摘要
在本文中，我们解决了与香草期权交易相关的执行费用时，最佳的三角洲和Vega对冲的问题。在一个框架中，使用市场模型定价异国情调的选项（例如，局部波动率模型连续重新校准了香草期权价格的价格），而香草期权价格的价格由随机波动率模型驱动，我们表明，使用简单的近似值，最佳的动态Delta和Vega Hedging策略可以轻松地使用变异技术计算。
In this paper, we address the question of the optimal Delta and Vega hedging of a book of exotic options when there are execution costs associated with the trading of vanilla options. In a framework where exotic options are priced using a market model (e.g. a local volatility model recalibrated continuously to vanilla option prices) and vanilla options prices are driven by a stochastic volatility model, we show that, using simple approximations, the optimal dynamic Delta and Vega hedging strategies can be computed easily using variational techniques.
